Melanoma still reaches thousands of new diagnoses per year, and its aggressiveness makes recovery challenging, especially for those with stage III/IV unresectable melanoma. Immunotherapy, emerging as a beacon of hope, stands at the forefront of treatments for advanced melanoma. This review delves into the various immunotherapeutic strategies, prominently featuring cytokine immunotherapy, adoptive cell therapy, immune checkpoint inhibitors, and vaccinations. Among these, immune checkpoint inhibitors, notably anti-programmed cell death-1 (PD-1) and anti-cytotoxic T lymphocyte antigen-4 (CTLA-4) antibodies, emerge as the leading strategy. However, a significant subset of melanoma patients remains unresponsive to these inhibitors, underscoring the need for potent biomarkers. Efficient biomarkers have the potential to revolutionize the therapeutic landscape by facilitating the design of personalized treatments for patients with melanoma. This comprehensive review highlights the latest advancements in melanoma immunotherapy and potential biomarkers at the epicenter of recent research endeavors.